CYD Options History — May 2011

In May 2011, CYD traded between $20.70 and $32.86. ATM implied volatility averaged 55.0%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 15.1% (HV 20d: 70.1%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2011-05-18: Highest Volume — 52,439 contracts
  • 2011-05-20: Largest IV spike — 31.5% change
  • 2011-05-23: Highest IV Rank — 66.2%
  • 2011-05-23: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.99$20.70$32.86$32.86$21.73
Max Pain$25.52$22.50$30.00$25.00$22.50
ATM IV55.0%42.1%65.1%42.1%61.8%
Expected Move15.4%12.1%18.7%12.1%17.7%
HV 20d70.1%29.4%93.6%29.4%93.5%
HV 60d54.9%41.5%65.0%41.5%64.2%
IV Rank44.5%19.1%66.2%19.1%65.3%
IV Percentile67.6%13.9%94.0%13.9%90.5%
Term Structure-0.2%-4.9%5.2%2.2%-2.7%
VWIV53.1%45.9%64.6%51.1%57.7%
Skew 25d4.1%-11.1%9.7%9.3%6.3%
Skew 10d3.6%-21.6%53.4%53.4%-12.3%
Call IV 25d51.7%40.0%66.3%40.0%54.9%
Put IV 25d55.8%42.7%68.6%49.3%61.2%
Bid-Ask Spread %62.1238.8382.4152.8854.51
Gamma HHI0.350.200.580.560.24
Net GEX123.1K-92.4K380.0K380.0K74.3K
Net DEX-5.2M-21.6M8.5M-21.6M1.3M
Net VEX-29.6K-36.4K-20.4K-35.5K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.011.800.190.30
Total Volume3,308.09511252,439324240
Total OI15,349.0489,26818,88015,73911,515

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$32.86$25.0042.1%12.1%29.4%19.1%51.1%9.3%2.2%380.0K-21.6M-35.5K0.1952.88N/AN/A2735110,5165,223
2011-05-03$31.14$25.0051.7%14.8%34.8%31.5%49.8%0.2%-3.1%290.4K-16.4M-35.2K0.6765.28N/AN/A38225710,4575,210
2011-05-04$29.80$25.0053.3%15.3%38.2%33.6%53.8%-11.1%-3.6%237.4K-13.0M-35.3K0.8063.04N/AN/A50340310,6565,237
2011-05-05$30.06$25.0051.2%14.7%38.4%31.0%50.8%7.2%-2.3%240.3K-13.5M-36.4K0.8663.04N/AN/A12710910,6605,534
2011-05-06$30.11$30.0051.8%14.3%38.4%31.7%49.1%6.7%-0.6%230.8K-13.3M-35.4K0.1263.53N/AN/A5657010,6435,603
2011-05-09$30.58$30.0056.2%14.4%38.9%37.4%47.5%7.6%0.5%278.0K-14.8M-34.3K0.0168.24N/AN/A111110,8805,657
2011-05-10$31.44$30.0058.7%14.3%39.4%48.3%46.3%7.7%-0.3%339.2K-17.7M-34.5K0.7274.95N/AN/A21515510,9855,658
2011-05-11$26.12$30.0059.4%14.3%77.0%51.0%47.6%-1.8%1.2%12.8K-2.5M-24.4K0.7164.12N/AN/A1,6791,19711,0345,721
2011-05-12$27.55$30.0048.3%13.9%79.8%33.4%52.4%9.2%1.9%82.7K-5.3M-29.9K0.1769.58N/AN/A1,84931911,2266,276
2011-05-13$26.35$25.0050.8%14.6%81.0%37.4%51.6%-0.9%0.8%77.4K-4.0M-30.0K0.3282.41N/AN/A40712912,3136,464
2011-05-16$25.56$25.0050.1%14.4%81.3%36.2%45.9%-0.6%4.5%38.6K-2.2M-27.2K0.6274.52N/AN/A27316812,2296,541
2011-05-17$24.88$25.0050.8%14.6%81.6%37.3%51.2%-0.4%0.1%20.8K56.7K-25.5K0.7869.80N/AN/A17813912,3486,532
2011-05-18$25.57$25.0052.8%15.1%82.4%40.5%52.0%3.1%-0.9%41.9K-1.8M-25.8K0.0171.84N/AN/A51,81862112,2236,554
2011-05-19$24.50$24.0049.0%14.1%81.6%34.5%49.0%3.5%5.2%51.9K-3.1M-24.0K1.2781.38N/AN/A14318112,2236,554
2011-05-20$21.03$24.0064.4%18.5%93.0%64.0%63.8%3.5%-2.2%-92.4K8.5M-20.4K1.3248.01N/AN/A1,3811,8239,8326,703
2011-05-23$20.70$24.0065.1%18.7%93.0%66.2%64.6%0.4%-4.9%29.8K2.5M-22.8K0.9561.17N/AN/A7737375,4433,825
2011-05-24$20.90$24.0061.9%17.8%91.9%60.6%62.0%9.7%-1.9%42.5K2.3M-26.3K0.8738.83N/AN/A4003475,9204,530
2011-05-25$21.29$22.5060.9%17.4%92.0%63.4%60.1%9.6%-0.9%57.9K1.9M-28.3K1.8044.94N/AN/A2234016,1844,556
2011-05-26$21.55$22.5058.6%16.8%92.7%59.1%53.3%7.8%-0.1%68.7K1.6M-29.7K1.2745.08N/AN/A2302936,3264,839
2011-05-27$22.12$22.5055.5%15.9%93.6%53.3%55.5%8.3%2.2%81.8K1.3M-30.6K0.0547.44N/AN/A286136,4685,032
2011-05-31$21.73$22.5061.8%17.7%93.5%65.3%57.7%6.3%-2.7%74.3K1.3M-29.7K0.3054.51N/AN/A184566,4745,041